A DSGE-VAR for the Euro Area

This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and Schorfheide (2003). This DSGE-VAR is fitted to Euro area data on GDP, consumption, investment, nominal wages, hours worked, inflation, M2, and a short-term interest rate. We document the fit of the DSGE-VAR

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Year of publication:	2004
Authors:	Negro, Marco Del ; Schorfheide, Frank
Institutions:	Society for Economic Dynamics - SED
Subject:	Bayesian Analysis \| DSGE Models \| Forecasting \| Vector Autoregressions

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Series:	2004 Meeting Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Society for Economic Dynamics 2004 Number 43
Classification:	C11 - Bayesian Analysis ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005085474